Credit contagion in a network of firms with spatial interaction

被引：72

作者：

Barro, Diana ^{[1
]}

Basso, Antonella

机构：

[1] Univ Venice, Dept Appl Math, I-30123 Venice, Italy

来源：

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2010年 / 205卷 / 02期

关键词：

Finance; Credit risk; Bank loan portfolios; Contagion models; Entropy spatial models; RISK; BUSINESS; MODEL; INFORMATION; PORTFOLIO; DISTANCE;

D O I：

10.1016/j.ejor.2010.01.017

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

This contribution studies the effects of credit contagion on the credit risk of a portfolio of bank loans. To this aim we introduce a model that takes into account the counterparty risk in a network of interdependent firms that describes the presence of business relations among different firms. The location of the firms is simulated with probabilities computed using an entropy spatial interaction model. By means of a wide simulation analysis we investigate the behavior of the model proposed and study the effects of default contagion on the loss distribution of a portfolio of bank loans. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：459 / 468

页数：10

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